get_vals_switching function

Compute values of transition function to separate regimes

Computes transition values by using a smooth transition function as used in Auerbach and Gorodnichenko (2012). The time series used in the transition function can be detrended via the Hodrick-Prescott filter (see Auerbach and Gorodnichenko, 2013).

get_vals_switching(data_set, specs)

Arguments

• data_set: A numeric vector or a panel data set, depending on the model to estimate.
• specs: A list with inputs as in lp_nl ().

Returns

• fz: A numeric vector with values from the smooth transition function $F(z_{t-1})$.

References

Auerbach, A. J., and Gorodnichenko Y. (2012). "Measuring the Output Responses to Fiscal Policy." American Economic Journal: Economic Policy, 4 (2): 1-27.

Auerbach, A. J., and Gorodnichenko Y. (2013). "Fiscal Multipliers in Recession and Expansion." NBER Working Paper Series. Nr 17447.

Author(s)

Philipp Adämmer